Futures are flat to yesterdays close of 4290. 4300 (430 SPX) remains the Call Wall and so we look for the SPX to stay at or below this price area. We note 3 large Combo bars as support and resistance: 4321, 4299 and 4275. This range syncs with a very tight estimated max move of 66bps. 430 in SPY is equal to ~4320 in SPX which is why we mark Call Wall resistance as 4300-4320.
Yesterday we highlighted the large hedge position that traded, and you can see that reflected in open interest this AM. ~50k of the 4115 calls were closed and ~45k of the 4430s were added. That greatly outsized any other open interest change, including any flow that would impact the Call Wall.
The vanna model retains that resistance skew which further sinks with resistance overhead. We’re also heading into a summer holiday here in the US which could further play into a fairly dull day of index trading ahead. The options market appears to agree: a 4300 SPX call for tomorrows expiration holds an implied volatility of just 9% – which is an estimated move of 56bps.
Model Overview:
4300 top, 4265 critical support into July OPEX.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4295 | 4289 | 428 | 14560 | 354 |
| SpotGamma Imp. 1 Day Move: | 0.66%, | 28.0 pts | Range: 4267.0 | 4323.0 | ||
| SpotGamma Imp. 5 Day Move: | 4269 | 1.97% | Range: 4185.0 | 4353.0 | ||
| SpotGamma Gamma Index™: | 1.08 | 1.36 | 0.03 | 0.07 | 0.01 |
| Volatility Trigger™: | 4265 | 4270 | 428 | 13860 | 354 |
| SpotGamma Absolute Gamma Strike: | 4300 | 4300 | 428 | 14450 | 355 |
| Gamma Notional(MM): | $352 | $349 | $206 | $10 | $69 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4263 | 4257 | 0 | 0 | 0 |
| Put Wall Support: | 4000 | 4000 | 420 | 12000 | 353 |
| Call Wall Strike: | 4300 | 4300 | 430 | 14100 | 355 |
| CP Gam Tilt: | 1.34 | 1.2 | 1.06 | 2.3 | 1.06 |
| Delta Neutral Px: | 4147 | ||||
| Net Delta(MM): | $1,214,604 | $1,237,640 | $157,117 | $38,106 | $76,214 |
| 25D Risk Reversal | -0.06 | -0.06 | -0.05 | -0.05 | -0.04 |
| Top Absolute Gamma Strikes: |
|---|
| SPX: [4300, 4275, 4250, 4200] |
| SPY: [430, 428, 427, 425] |
| QQQ: [355, 353, 350, 340] |
| NDX:[15250, 14450, 14100, 14000] |
| SPX Combo: [4299.0, 4321.0, 4347.0, 4398.0, 4312.0] |
| NDX Combo: [14578.0, 14782.0, 14825.0, 14651.0, 14738.0] |
